Put the milk into a small pan with the vanilla pod. Bring to a simmer, then turn off the heat, add the lemon zest and allow to cool.
Meanwhile, butter the bread and every other slice with a thin layer of marmlade. Butter your baking dish and arrange half the slices in overlapping rows inside. Beat the eggs together with the sugar until well mixed and then remove the vanilla pod from the milk and discard before beating the milk and the cream into the egg mixture, add 40 ml of Seville Orange Gin. Pour a little more than half over the bread, and leave for 20 minutes.
Pre-heat the oven to 180C. Arrange the rest of the bread in a second layer in the baking dish and drizzle over the rest of the custard. Dot with the rest of the butter, scatter with demerara sugar and grate some nutmeg over the top.
Place in a roasting tin and and fill halfway with water to make a bain marie. Cook for 35 – 45 minutes until golden brown. Allow to stand for 10 minutes before serving.